IAES International Journal of Artificial Intelligence (IJ-AI)

Vol. 11, No. 2, June 2022, pp. 572~581

ISSN: 2252-8938, DOI: 10.11591/ijai.v11.i2.pp572-581  572

Evaluation of efficiency of hedging strategies with option

portfolios for buyers of the currency US dollar/Colombian peso

Manuela Gutierrez-Salazar1, Miguel Jiménez-Gómez1,2, Natalia Acevedo-Prins2

1
Facultad de Minas, Universidad Nacional de Colombia, Medellin, Colombia
2
Facultad de Ciencias Económicas y Administrativas, Instituto Tecnológico Metropolitano-ITM, Medellín, Colombia

Article Info ABSTRACT

Article history: This paper evaluates the efficiency to mitigate the exchange rate risk of nine
hedging strategies with financial options. Strategies to hedging the purchase
Received May 5, 2021 of US dollar Colombian peso (USDCOP) by importers in Colombia were
Revised Dec 20, 2021 raised. In this way, the traditional strategy with call options and eight
Accepted Jan 13, 2022 strategies with investment portfolios were evaluated. These portfolios of
options for hedge are offered by financial entities in Colombia. These nine
hedged scenarios were compared with the unhedged scenario that
Keywords: corresponds to the foreign exchange risk exposure of importers. The
USDCOP currencies were modeled with a mean reversion with jumps
Exchange rate risk models, option premiums were valued with the black-scholes method and
Hedge the best hedging strategy was determined through a Monte Carlo simulation.
Monte Carlo According to the results obtained, the nine hedging strategies manage to
Options portfolio mitigate risk, but the most efficient was the option portfolio called collar.
Stochastic processes
This is an open access article under the CC BY-SA license.
Value at risk

Corresponding Author:
Miguel Jiménez-Gómez
Department of Finance, Instituto Tecnológico Metropolitano-ITM
Calle 73 No. 76 A-354 Vía al Volador Medellín Antioquia Colombia
Email: luisjimenez@itm.edu.co

1. INTRODUCTION
Since Modigliani and Miller classic financial theory [1], companies have covered their risks by
diversifying their portfolios. Despite this, authors such as Ahmed et al. [2], Allayannis and Weston [3] assure
that the coverage contributes to the creation of value in the company and its financial development. Also, for
companies that have operations in foreign currency they reduce the factors of exposure to the exchange
rate [4]. As mentioned by Smith and Stulz [5] there are several reasons for companies to have hedging
practices, the most common being the use of financial derivatives that are usually taken by risk-averse
entrepreneurs to reduce the variability of cash flows, which leads to a decrease in the volatility of their profits
and in turn decreases the expected costs of financial difficulties. As a result, the value of the company
increases, since it simultaneously increases the company’s debt capacity, which implies an increase in value
for shareholders [6]. In addition, companies apply coverage strategies in order to attract strategic allies such
as suppliers, shareholders, among others. According to Smith and Stulz [5], this is because it is not possible
to diversify all the risk, which makes them reluctant and increases costs because they need greater
compensation to assume them, but through hedging they manage to mitigate them, which decreases these
costs and increases the value for the company.
For Dobson and Soenen [7], corporate risk coverage is justified in that agency costs can be reduced
based primarily on three reasons. First, uncertainty is reduced by smoothing the cash flow stream, which
leads to a reduction in the cost of corporate debt. Second, with debt financing, underinvestment problems will
tend to be reduced, due to the adjustment of the average cash flow of the hedge. Finally, there is a reduction
in the probability of financial difficulties, which increases the duration of contractual relations between

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shareholders. Bartram et al. [8], included from 6,888 non-financial companies from 47 countries that the use
of financial derivatives managed to reduce the company's risk, this is positively associated with the
company’s value and according to Ahmed et al. [2] it excels in those that are more exposed to interest rate,
exchange rate and commodity price risks. This is why companies that conduct operations in foreign
currencies should identify the exchange rate risk to which they are exposed and thus opt for hedging
strategies that mitigate it or bring it to a level where the company can bear it [9].
When referring to currency risk, one has to consider that a company can earn more if it does not
hedge because the currency in which it operates can have a decrease, which means greater profits when
acquiring products at a lower price, but taking into account the volatility of exchange rates, especially the
dollar, one cannot trust that these fluctuations will play in favor of the entrepreneur, since the objective is not
to compare the profit it had with the one it could have had, but to implement hedging strategies, in this case
with financial derivatives, it is possible to have a price where the company is not affected, in addition, to
eliminate the uncertainty of the future, allowing to have more certainty about future cash flows [9]. In the
literature there are several authors who have used coverage for different purposes obtaining positive results.
For example, Martinez [10] analyzed how hedges help preserve public budgets and increase a country’s
foreign currency reserves, in this case Mexico. Choi et al. [11] studied the relationship between coverage and
dividend payments in Korean companies listed on the Korean stock exchange by finding the effect of liability
insurance coverage on a company’s dividend decisions. Also, research has been done on the companies that
use coverage and their relationship with employees, finding that those companies that have significant sales
abroad and use coverage to mitigate currency risk tend to include employee benefits within their coverage
policies when retention of human talent is costly [12]. On the other hand, [13] they carried out an empirical
analysis to determine the best hedging strategy with financial options with the criterion that investors obtain a
better profit. These authors use the following strategies: call, put and collar [9] analyzed the exchange rate
risk of an export company from different alternatives to mitigate it, including financial derivatives, since
companies that carry out foreign trade activities are exposed to exchange rate risk. According to Ochoa et al.
[14], they found gains by minimizing the volatility of investment portfolios through hedges that mitigated the
foreign exchange risk for the stock portfolio of a Mexican and a Colombian investor.
Velmurugan [15] studied 18 large Indian companies, which use hedging with financial derivatives to
avoid risks such as interest rate volatility, variability in commodity prices and foreign exchange rates. It was
found that the main reasons for these companies to use hedging are total assets and underinvestment, which
showed that only large Indian companies are able to pay for these derivatives. Similar results were found in
Spanish financial companies Palenzuela and Esteban [16] as it was the larger companies and those with more
debt that most chose to have hedging strategies to mitigate foreign exchange risk and currently the likelihood of
companies choosing to implement these strategies has increased. Géczy et al. [17], in studying 372 industrial
companies, state that they use hedging in order to reduce the variation of cash flows, because if the flows are
much lower than expected, the company can be prevented from making investments, which leads to the loss of
opportunities for development and growth. Therefore, it is felt that the companies most likely to hedge with
currency derivatives are those with financial limitations and high growth. Also, those exposed to the exchange
rate and economies of scale have a high probability of using financial derivatives. Also Laing et al. [18]
analyzed the effectiveness of financial hedging in oil and gas companies in the United States, where it was
found that these companies were exposed to the volatility of commodity prices, but using financial hedging had
a significant impact. On the other hand, Bodnar and Marston [19] state that the companies that are more
exposed to exchange risk are those whose revenues or costs are not balanced, that is, they do not have an
equal proportion in foreign currency, and therefore require the use of financial hedges that allow them to
mitigate exchange risk. But it is required to establish strategies that favor the company according to its type
of need, either by ensuring the value of a commodity, a future exchange rate, a financing cost, among others.
This paper will present hedging strategies with option portfolios, where the best coverage strategy
will be chosen by means of the leapfrog reversion model. The cost of the strategies will be determined using
the black-scholes and merton method and the currency will be modeled using the Wiener process. The
objective is to mitigate the foreign exchange risk of importers in Colombia, the time series of the textile
reinforced mortar (TRM) will be extracted from the Banco de la República. The methodology is presented
below, followed by the results of the strategies and conclusions.

2. METHOD
Nine hedging strategies will be carried out with financial options offered by the Colombian over the
counter market (OTC) for importers, since they must support the exchange risk derived from the volatility in
the price of the currency. Additionally, it is taken into account that the hedging strategy used by importers is
equivalent to the hedging of buyers. Data from March 16, 2017 to September 30, 2020 will be used,
obtaining 1,001 prices and 1,000 yields. The most recent price is $3878.94. The Figure 1 shows the historical
Evaluation of efficiency of hedging strategies with option portfolios for … (Manuela Gutierrez-Salazar)
574  ISSN: 2252-8938

price of the US dollar (USD)/Colombian peso (COP) currency and the yields of the prices with limits.
Having for the upper limit to define upward jumps a deviation of 0.728% per day and for the lower limit to
define downward jumps a deviation of -0.728%. The price of the exchange rate has an upward trend with short
periods of time with abrupt changes called jumps, these jumps are identified because they exceed the limits.

Figure 1. USD/COP currency history (left) and yields with limits (right)

The Figure 2 shows the histogram of the jumps is displayed, with a total number of upward jumps of
124 and 118 downward jumps. The graph on the left shows the histogram of the jumps up (positive) and the
one on the right the jumps down (negative). Three strike prices (𝑘𝑖 ) were used for the hedging strategies,
where 𝑘2 = $3878,94 which corresponds to the initial spot price for at the money ATM options, 𝑘1 and 𝑘3
are equivalent to a $50 change from 𝑘2 , down and up, respectively, where 𝑘1 = $3828,94 and 𝑘2 =
$3928,94. The Figure 3 shows the payoff of the first strategy, in which you take a long position in call
options. The horizontal line indicates that the option is not exercised, and the sloping line shows the zone in
which the option is exercised and the higher the spot price, the greater the profit.

Figure 2. Histogram of upward jumps (left) and downward jumps (right)

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Figure 3. Traditional hedging strategy with financial options

With option portfolios, four coverage strategies for importers are applied, which consist of the
combination of the four positions in the financial options: long call, long put, short call and short put. The
Figure 4 shows eight coverage strategies with option portfolios. Each strategy has an associated name and its
own combination of options. Some strategies have options with the same strike price and others with
different strikes price levels. In addition, a local risk-free rate in effect for one month of 1.749% Annual. and
a foreign risk-free rate in effect for one month of 0.14825% nominal is used.

Figure 4. Hedge strategies with financial option portfolios

Next, the equations of the coverage strategies that will be used in the realization of the paper will be
presented, for which the following notation will be used:

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576  ISSN: 2252-8938

𝑆𝑡 : spot price of the currency modeled with the geometric Brownian motion (GBM) with jumps for t period
𝑘2 : initial spot price (ATM options)
𝑘3 : strike price>𝑘2
𝑘1 : strike price<𝑘2
𝑐: premium call option
𝑝: premium put option
𝑃𝐶𝐶: buyer hedge price
FWD: forward
lev: leverage
part: Participatory
- Traditional call:

PCCCall = | − St + Max[St − K1; 0] − c1| (1)

- Participatory Forward:

PCCFWD Part. = | − St + (Max[St − K1; 0] − c1) ∗ 2 + Min[St − K1; 0] + p1 | (2)

- Leveraged forward:

PCCFWD lev. = | − St + Max[St − K1; 0] − c1 + (Min[St − K1; 0] + p1) ∗ 2 | (3)

- Collar:

PCCCollar = | − St + Max[St − K2; 0] − c2 + Min[St − K3; 0] + p3 | (4)

- Spreads:

PCCSpreads = | − St + Max[St − K3; 0] − c3 + Min[K2 − St; 0] + c2| (5)

Strategies with three or four financial options are now shown, where each financial option has a
different strike price:
- Gull:

PCCGull = | − St + Min[St − K3; 0] + p3 + Max[St − K1; 0] − c1 +

Mín[K2 − St; 0] + c2| (6)

- Forward limit:

PCCFWD limit = | − St + Min[St − K3; 0] + p3 + Max[St − K3; 0] −

c3 + Mín[K2 − St; 0] + c2| (7)

- Break forward:

PCCFWD Break = | − St + Min[St − K2; 0] + p2 + Max[K1 − St; 0] −

c1 + Max[St − K2; 0] − c2| (8)

- Forward range:

PCCFWD Range = | − St + Min[St − K1; 0] + p1 + Max[K3 − St; 0] − p3 +

Max[St − K1; 0] − c1 + Min[K2 − St; 0] + c2| (9)

2.1. Currency modeling

The currency USDCOP (ST) will be modeled with the stochastic process of reversion to the average
with jumps for a period of one month, because this has been widely used to model the price of an asset,
assuming that the percentage changes are independent and are distributed identically [19]. The Figure 1
above mentioned shows the daily behavior of the currency for the last three years. It shows an upward trend
and has small random movements. This random behavior can be replicated with the geometric brownian
motion (GBM). The spot price of the TRM is $3,774 for May 22, 2020, with the daily prices of three years,

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Int J Artif Intell ISSN: 2252-8938  577

we obtain a daily volatility of 0.8564438% and an average yield of 0.03545416%. Thus, K1 will equal
$3,774, K2 greater than K1 by $100 and K3 less than K1 by $50.
Stochastic processes are those that show the evolution of a random variable in time, are classified as:
- Discrete variable: only certain discrete values can be taken.
- Continuous variable: it can take any real value.
- Discrete time: the value can only change at certain moments of time.
- Continuous time: the value can change at any instant of time.
A stochastic process of continuous time is the wiener process, where the variations in the prices are
distributed lognormally and its main characteristics are:
- It is a Markovian process, that is, the probability distribution of future values only depends on their
current value, has a mean equal to zero and a variance equal to 1.
- Changes in a given time interval are independent of changes in another time interval.
- The variations in a ∆𝑡 are distributed normally and their variance increases linearly [20], [21].
Also, it is true that:

∆z = εt ∗ Δt (10)

where, εt a non-self-correlated random variable of the type Φ(0.1), Δz the variations that are independent of
each other and Δt the time intervals. In the long term the variance tends to be infinite and if Δt →0, the
increase of dz in continuous time is

dz = εt ∗ dt (11)

generalizing this equation, we have

dx = 𝑎 ∗ dt + b ∗ dz (12)

where 𝑎 and b are constant and

𝑑𝑧 = εt ∗ √𝑑𝑡 (13)

The weiner process is defined as a brownian movement with a trend or drift, whose expected trend is
sometimes the elapsed time and noise from the second component of the equation. This noise is sometimes a
Wiener dz process and in the case of very small time intervals the ∆𝑥, are given by the following equation
∆𝑥 = 𝑎∆𝑡 + 𝑏εt ∗ √∆𝑡 (14), then ∆𝑥~𝑁(𝑎∆𝑡, 𝑏2 ∆𝑡) [20]. To simulate the price of an S share it is assumed
that logarithmic price changes follow a normal distribution and from there the logarithm of the price is
modeled with the Wiener process using the following equation in a time interval ∆𝑡 for a stock that does not
pay dividends:

∆𝑆
𝑆
= μΔt + σεΔt (15)

Considering that:
∆𝑆
− 𝑆
is distributed normally, with mean μΔt and variance 2Δt
− μ expected performance of the action
− σ share volatility
When deriving this equation using Ito's Lemma, which fulfills the same function as the rule of the
chain in stochastic processes, we have that the equation for the geometric brownian movement, where the
price of a share can be modeled in time t, is given by the following expression:

𝜎2
St = S0 𝑒 [(μ− 2 )Δt +σεΔt] (16)
2
where, the expected value of the share price is 𝑆0 𝑒 𝜇𝑡 and the variance is given by 𝑆0 𝑒 2𝜇𝑡 (𝑒 𝜎 𝑡 − 1) [22].
Additionally, the value of an asset tends to return to an average price in the long term, for which mean
reversion models are used. Also, models with jumps are used that allow the modeling of sudden changes. In
this paper we will use the modeling of mean reversion with jumps, where the jumps are distributed
exponentially and will occur every few years for very short periods. The formula for this model is defined by
the following stochastic differential equation:

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578  ISSN: 2252-8938

𝑑𝑥 = 𝜂 (𝑥̅ − 𝑥 )𝑑𝑡 + 𝜎𝑑𝑧 + 𝑑𝑞 (17)

When there are jumps, either up 𝜙𝑢 or down 𝜙𝑑 it is necessary to add the dq distribution of the size
of the jumps. Also, it should be defined that the Brownian process dz and the Poisson process dq are not
correlated and to guarantee that dx is independent of the jumps, 𝜆𝑘 is subtracted, where 𝜆 corresponds to the
sum of the frequency of the jumps

(𝜆 = 𝜆𝑢 + 𝜆𝑑 ) (18)

Obtaining (19):

𝑑𝑥 = [𝜂 (𝑥̅ − 𝑥 ) − 𝜆𝑘]𝑑𝑡 + 𝜎𝑑𝑧 + 𝑑𝑞 (19)

Finally, you have that the value of the asset at time t is given by (20) [23]:
𝜎2 +𝜆𝑉𝑎𝑟(𝜙)
(𝑥𝑡−(1−𝑒 −2𝜂∆𝑡) )
𝑆𝑡 = 𝑒 4𝜂 (20)

where 𝑥𝑡 is:

1−𝑒 −2𝜂∆𝑡
𝑥𝑡 = log(𝑆𝑡−1 ) 𝑒 −𝜂∆𝑡 + log(𝑆̅ + 𝜆𝑘𝜂) (1 − 𝑒 −𝜂∆𝑡 ) + 𝜎√ 2𝜂 𝑑𝑧 + 𝑑𝑞 (21)

2.2. Financial option valuation method

The Black-Scholes and Merton method, created in 1973 by Fischer Black and Myron Scholes, and
later modified by Robert C. Merton, is used for the valuation of financial options. Although it serves as the
basis for pricing almost all financial derivatives, the markets do not use this methodology, but rather prices
are based on supply and demand [24]. In this method it is assumed that the stock price follows a geometric
Brownian motion and that Ito’s Lemma was used to describe the behavior of the option price, [25]
additionally, a series of assumptions are made [26], [27]: i) stock returns are normally distributed and
independent over time, ii) the volatility of returns is known, iii) no dividends are paid and if paid, they are
known future dividends, iv) the short-term risk-free interest rate is constant and there are no risk-free
arbitrage opportunities, v) there are no transaction costs or taxes, and vi) trading in securities is continuous.
The equations for calculating the prices of European call and put options are given by

c = S0 𝑒 −𝑟𝑓𝑡 𝑁(𝑑1) − 𝑘𝑒 −𝑟𝑡 𝑁(𝑑2) (22)

and

p = 𝑘𝑒 −𝑟𝑡 𝑁(−𝑑2) − S0 𝑒 −𝑟𝑓𝑡 𝑁(−𝑑1) (23)

where
𝑆 𝜎 2
ln( 0 )+(𝑟−𝑟𝑓+ )𝑡
𝑘 2
𝑑1 = (24)
𝜎 √𝑡

and
𝑆 𝜎 2
ln( 0 )+(𝑟−𝑟𝑓− )𝑡
𝑘 2
𝑑2 = (25)
𝜎 √𝑡

𝑁(𝑥) corresponds to the cumulative probability function for a normal variable with a mean of zero
and standard deviation 1, S0 is the stock price, k is the strike price, r is the risk-free rate, 𝑟𝑓 is the foreign
risk-free rate, t is the time to expiration and σ is the stock price volatility. There will be 10 scenarios, one
unhedged and 9 with hedging strategies for importers present in the over-the-counter (OTC) market, the cost
of each strategy will be given by the black-scholes and merton method, the USDCOP currency will be
modeled for one month and thousands of iterations will be performed for each of the scenarios by means of
the reversion to the mean with jumps model and the 5% percentile that will represent the VaR for each of the
scenarios will be calculated and based on the lowest VaR the best hedging strategy will be chosen.

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3. RESULTS AND DISCUSSION

The simulation of the unhedged scenario was carried out in addition to the evaluation of the nine
hedging strategies for buyers. Additionally, Table 1 shows the value of the premiums used for each strategy.
For call options the highest strike price corresponds to 𝑘1 , because in this case the options are in the money
(ITM), that is, they have a lower price than the spot price and lower for 𝑘3 where the options are out the
money (OTM), because the strike price is higher than the spot price. The opposite occurs with put options,
since for a price higher than the spot price the options are OTM and for a lower one they are ITM, which is
evidenced by the values of 𝑘3 and 𝑘1 . Table 2 shows that there are strategies where there is a cost; that is,
those whose value is negative, with call being the one where a higher premium must be paid, followed by
break forward (FWD) and collar. But there are others where money is received in advance; that is, those with
a positive sign, being leveraged FWD the one that receives the highest premium, in second position is limit
FWD and then seagull.
The Figure 5 shows in gray the empirical distribution of the scenario without coverage and in blue
the empirical distribution of the strategies with hedged. Also, two vertical lines representing the 95%
percentile are added to each graph both when there is coverage and when there is no coverage. It was found
that hedging strategies manage to mitigate exchange rate risk, since the buyer has the risk of buying at high
prices and all the blue lines are further to the left than the gray lines, which means that under the worst-case
scenario one could buy at lower prices. The call, participatory FWD, collar and break FWD strategies are the
ones that manage to mitigate it the most, and there are others like bull call spread and range FWD where
there is a very similar behavior to the unhedged scenario as shown in Table 3.

Table 1. Individual premium value for each strike price

Option 𝑘1 𝑘2 𝑘3
Call $94.91946 $66.07437 $43.60025
Put $36.38879 $57.42831 $84.8388

Table 2. Value of premiums for each coverage strategy

Strategy Premium (+receipt, -pay)
Call -$ 66.07437
Participatory FWD -$ 8.646062
Leveraged FWD +$ 48.78225
Collar -$ 29.68558
Seagull +$ 13.91467
Limit FWD +$ 34.95419
Break FWD -$ 45.03485
Range FWD -$ 1.434602
Bull Call Spread -$ 22.47412

Figure 5. Empirical distributions of the strategy simulations

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Table 3. Results simulation of coverage strategies

Strategy Mean Standard deviation VaR5%
Unhedged $ 3899.414 $ 226.87815 $ 4280.212
Call $ 3865.478 $ 120.60878 $ 3945.014
Participatory FWD $ 3853.649 $ 144.97074 $ 3953.660
Leveraged FWD $ 3909.695 $ 120.60878 $ 4172.148
Collar $ 3887.149 $ 24.01892 $ 3908.626
Seagull $ 3919.463 $ 142.59847 $ 4216.297
Limit FWD $ 3919.900 $ 128.43799 $ 4195.258
Break FWD $ 3865.915 $ 103.23313 $ 3923.975
Range FWD $ 3898.229 $ 189.65636 $ 4231.647
Bull Call Spread $ 3897.792 $ 207.65364 $ 4252.686

The mean, standard deviation, and value at risk (VaR) are presented for the nine coverage strategies
and for the unhedged scenario. Analyzing the standard deviation, the unhedged scenario has the highest
value, which means that all the strategies manage to mitigate the exchange rate risk, since the empirical
distributions of each strategy are less volatile, the strategy that most manages to reduce this measure is collar,
where there is a very noticeable difference compared to the others and coincides with what is shown in
Figure 5. Continuing with the analysis, the average is the expected value that the buyer expects to pay, so it is
expected to have the least value possible, since the risk of a buyer is to pay high prices, therefore, the
participatory FWD strategy is the best in this aspect and in the leveraged FWD, seagull and limit FWD
strategies the average of the prices is higher compared to the scenario without coverage. Also, the VaR of
5%, where the best scenario of all possible scenarios is sought, is observed that the collar strategy has the
lowest measure, so it guarantees the importer that in the face of the worst scenario he can buy at a lower
price. Finally, the best hedging strategy is collar, since it has a much smaller standard deviation than the
others and is the one with the lowest price in the calculation of the 5% VaR. On the other hand, the worst
hedging strategy is the bull call spread, since it is the most volatile of all strategies, and is also the one that in
the worst scenario would make the importer pay a higher price.

4. CONCLUSION
Nine hedging strategies were evaluated to mitigate the exchange rate risk to which the buyers are
subject, one of which was the traditional call and the remaining eight correspond to financial option
investment portfolios. To obtain the results, an R simulation was carried out, with thousands of iterations for
each of the scenarios. Evidence was found of hedging strategies that succeed in mitigating foreign exchange
risk for importers, taking as a reference a scenario where there was unhedged. The variables that support that
evidence are first the standard deviation, taking into account that this measure is associated with the risk, it
was possible to obtain lower values indicating a lower volatility. The second is the VaR, where in the worst
possible scenario lower prices were obtained. In conclusion, analyzing all the possible scenarios when
hedging strategies were used, the importer can buy at a lower price than without hedging; even in the worst-
case scenario, in addition, having a lower volatility, so it can be shown that by using currency hedges buyers
are less exposed to risk and therefore can have more profits or greater certainty of their future cash flows.

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BIOGRAPHIES OF AUTHORS

Manuela Gutierrez-Salazar She is an administrative engineer from the

Universidad Nacional de Colombia in 2021. She is currently working in the banking industry.
She can be contacted at email: magutierrezsa@unal.edu.co.

Miguel Jiménez-Gómez received the M.Sc. degree in administrative engineer

from the Universidad Nacional de Colombia in 2015 and holds a Bachelor en Industrial
Engineering since 2013. He is a professor of finances in the Universidad Nacional de
Colombia and the Instituto Tecnológico Metropolitano-ITM, Medellín, Colombia. He can be
contacted at email: lumjimenezgo@unal.edu.co and luisjimenez@itm.edu.co.

Natalia Acevedo-Prins holds a Bachelor of Engineering (B.Eng.) in

Administrative Engineering, Master of Science (M.Sc.) in Industrial Engineering. She is
currently professor the Universidad de Antioquia (UdeA) and previously she was a professor
of finances in the Instituto Tecnológico Metropolitano-ITM, Medellín, Colombia. She can be
contacted at email: nataliaacevedo@itm.edu.co.

Evaluation of efficiency of hedging strategies with option portfolios for … (Manuela Gutierrez-Salazar)